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Mathematics, Volume 12, Issue 1

January-1 2024 - 168 articles

Cover Story: The authors introduce a novel option pricing model by adding stochastic interest rates and pure jump Lévy processes to an underlying price process driven by stochastic string shocks. They consider four different jump processes leading to different versions of the model: lognormal and double-exponential jump diffusions, CGMY, and generalized hyperbolic Lévy motion. In each case, they obtain closed or semi-closed form expressions for European call option prices. Moreover, they empirically evaluate the model's performance against S&P 500 call options. The findings indicate that (a) model performance is enhanced with the inclusion of jumps; (b) the model outperforms the alternative models with the same jumps; and (c) the model with CGMY jump offers the best fit across volatility regimes. View this paper
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Articles (168)

  • Article
  • Open Access
1 Citations
2,235 Views
20 Pages

4 January 2024

Deep learning technology has greatly propelled the development of intelligent and information-driven research on ship infrared automatic target recognition (SIATR). In future scenarios, there will be various recognition models with different mechanis...

  • Article
  • Open Access
3 Citations
1,953 Views
17 Pages

Finite Difference Models of Dynamical Systems with Quadratic Right-Hand Side

  • Mikhail Malykh,
  • Mark Gambaryan,
  • Oleg Kroytor and
  • Alexander Zorin

4 January 2024

Difference schemes that approximate dynamic systems are considered discrete models of the same phenomena that are described by continuous dynamic systems. Difference schemes with t-symmetry and midpoint and trapezoid schemes are considered. It is sho...

  • Article
  • Open Access
1,633 Views
20 Pages

4 January 2024

In this paper, we establish the cohomology of relative Rota–Baxter operators on Lie-Yamaguti algebras via the Yamaguti cohomology. Then, we use this type of cohomology to characterize deformations of relative Rota–Baxter operators on Lie-...

  • Article
  • Open Access
1 Citations
1,831 Views
16 Pages

4 January 2024

The article is devoted to the analytical and numerical study of the pattern of propagation and attenuation, due to Coulomb friction, of shear waves in an infinite elastic thin plate with a circular orifice of radius r0 lying on a rough base. Consider...

  • Article
  • Open Access
5 Citations
4,851 Views
21 Pages

GSRec: A Graph-Sequence Recommendation System Based on Reverse-Order Graph and User Embedding

  • Xulin Ma,
  • Jiajia Tan,
  • Linan Zhu,
  • Xiaoran Yan and
  • Xiangjie Kong

4 January 2024

At present, sequence-based models have various applications in recommendation systems; these models recommend the interested items of the user according to the user’s behavioral sequence. However, sequence-based models have a limitation of leng...

  • Article
  • Open Access
4 Citations
1,504 Views
14 Pages

4 January 2024

In this paper, the distributed interval estimation problem for networked Cyber-Physical systems suffering from both disturbances and noise is investigated. In the distributed interval observers, there are some connected interval observers built for t...

  • Article
  • Open Access
1 Citations
1,599 Views
12 Pages

4 January 2024

Partially linear models find extensive application in biometrics, econometrics, social sciences, and various other fields due to their versatility in accommodating both parametric and nonparametric elements. This study aims to establish statistical i...

  • Article
  • Open Access
1 Citations
1,635 Views
16 Pages

Modeling Study of Factors Determining Efficacy of Biological Control of Adventive Weeds

  • Yuri V. Tyutyunov,
  • Vasily N. Govorukhin and
  • Vyacheslav G. Tsybulin

4 January 2024

We model the spatiotemporal dynamics of a community consisting of competing weed and cultivated plant species and a population of specialized phytophagous insects used as the weed biocontrol agent. The model is formulated as a PDE system of taxis&nda...

  • Article
  • Open Access
2 Citations
1,353 Views
21 Pages

4 January 2024

Real-time evaluation of the damage location and level of rock mass is essential for preventing underground engineering disasters. However, the heterogeneity of rock mass, which results from the presence of layered rock media, faults, and pores, makes...

  • Article
  • Open Access
1 Citations
1,503 Views
20 Pages

3 January 2024

Ill-posed problems arise in many areas of science and engineering. Tikhonov is a usual regularization which replaces the original problem by a minimization problem with a fidelity term and a regularization term. In this paper, a tensor t-production s...

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Mathematics - ISSN 2227-7390Creative Common CC BY license